ltqnorm - function z = ltqnorm(p) %LTQNORM Lower tail...

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function z = ltqnorm(p) %LTQNORM Lower tail quantile for standard normal distribution. % % Z = LTQNORM(P) returns the lower tail quantile for the standard normal % distribution function. I.e., it returns the Z satisfying Pr{X < Z} = P, % where X has a standard normal distribution. % % LTQNORM(P) is the same as SQRT(2) * ERFINV(2*P-1), but the former returns a % more accurate value when P is close to zero. % The algorithm uses a minimax approximation by rational functions and the % result has a relative error less than 1.15e-9. A last refinement by % Halley's rational method is applied to achieve full machine precision. % Author: Peter J. Acklam % Time-stamp: 2003-04-23 08:26:51 +0200 % E-mail: pjacklam@online.no % URL: http://home.online.no/~pjacklam % Coefficients in rational approximations. a = [ -3.969683028665376e+01 2.209460984245205e+02 . .. -2.759285104469687e+02 1.383577518672690e+02 . .. -3.066479806614716e+01
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This note was uploaded on 12/10/2009 for the course ME master taught by Professor Mon during the Spring '09 term at Hanyang University.

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ltqnorm - function z = ltqnorm(p) %LTQNORM Lower tail...

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